I gather you're a newbie, so what Dark4ng3l said would presumably be over your head. Basically, a Pentium is a really old processor, even a Pentium 2 is pretty much obsolete. I assume you're talking about a Pentium 3. Pentium 3s are around the same performance clock for clock as an Athlon, i.e. a 1GHz P3 would perform around the same as a 1GHz Athlon. The Athlon is AMD's flagship processor, while the P3 is intel's ex-flagship processor(intel's current flagship is the P4). Despite the relatively similar performance, the Athlon processor costs significantly less, which makes it more desirable.
The Celeron is intel's budget/value line processor, while the Duron is AMD's counterpart. Same story applies about the pricing, but now, clock for clock, the Duron whips the Celeron's butt in performance. The Duron is about 10% slower than an similarly clocked P3/Athlon, but the Celeron is way slower. A 700MHz Celeron probably performs about the same as a 500MHz P3/Athlon in most applications.